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Predictability of the realised volatility of international stock markets amid uncertainty related to infectious diseases
Shiba, Sisa; Cuñado Eizaguirre, Juncal; Gupta, Rangan - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-18
In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models....
Persistent link: https://www.econbiz.de/10012813501
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What effects could global value chain and digital infrastructure development policies have on poverty and inequality after COVID-19?
Del Carpio, Ximena V.; Cuesta, José; Kugler, Maurice; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-29
, we explore-through a computable general equilibrium model (CGE) and a microsimulation framework-to what extent reforms of … linked to GVCs, but this effect would be a general equilibrium effect that our CGE model with a partial equilibrium …
Persistent link: https://www.econbiz.de/10012816153
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Assessing productivity channels of human capital in the Southern African development community : new insights from women's empowerment
Asaleye, Abiola John; Strydom, Kariena - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-15
There is massive and growing volume of literature on human capital and productivity. However, there is little emphasis on the growth channels of human capital, particularly on women’s empowerment, despite its theoretical underpinning and relevance in the Southern African Development Community...
Persistent link: https://www.econbiz.de/10013475236
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Good practice principles in modelling defined contribution pension plans
Dowd, Kevin; Blake, David - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
member characteristics, such as occupation and gender; modelling plan charges; modelling longevity risk; modelling the post … and equity release; modelling extraneous factors, such as unemployment risk, activity rates, taxes and welfare …
Persistent link: https://www.econbiz.de/10013161732
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From fragility to resilience : how prepared was the Romanian business environment to face the COVID-19 crisis?
Demyen, Suzana - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
The issue of business resilience is a topical one, in the context of which a large number of the companies on the market have faced many challenges in the last two years, raising the issue of market survival. But was the Romanian business environment ready to face the COVID-19 crisis? How...
Persistent link: https://www.econbiz.de/10012820851
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Fight alone or together? : the influence of risk perception on helping behavior
Yin, Liping; Wu, Yenchun Jim - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-15
risk perception influences employees’ willingness to assist in times of public crisis, taking COVID-19 as a specific … research scenario and based on the theory of “tend and befriend”. This study hypothesized that risk perception will influence … employees’ helping behavior via the in-group identity, with the degree of impact dependent on the COVID-19 pandemic’s severity …
Persistent link: https://www.econbiz.de/10012821585
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COVID-19 disclosure : a novel measurement and annual report uncertainty
Elmarzouky, Mahmoud; Albitar, Khaldoon; Karim, Atm Enayet; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-12
This paper provides a unique COVID-19 disclosure measurement and investigates the association between the level of COVID-19 disclosure and uncertainty within annual reports for UK FTSE-All share non-financial firms. We used automated textual analysis to score the sampled annual reports. The...
Persistent link: https://www.econbiz.de/10012800246
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The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective
Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-29
represents a unique opportunity to understand the performance of risk factors during severe economic times across international … heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great …
Persistent link: https://www.econbiz.de/10012813368
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...
Persistent link: https://www.econbiz.de/10012813880
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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic
Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...
Persistent link: https://www.econbiz.de/10012795039